DBRS Morningstar Publishes Updated North American CMBS Multi-Borrower Rating Methodology

DBRS Morningstar published an updated version of its “North American CMBS Multi-Borrower Rating Methodology” (the Methodology).

DBRS Morningstar has conducted a periodic review of the Methodology and the North American (NA) CMBS Insight Model. This update supersedes the previous version published on March 9, 2020, and is effective as of August 7, 2020. DBRS Morningstar deems the updates to the Methodology not to be material and has determined that no ratings are expected to change as a result of this update. DBRS Morningstar made no changes to its NA CMBS Insight Model.

DBRS Morningstar made the following non-material updates to the Methodology:

-- Adding guidance that describes DBRS Morningstar’s practice of reviewing and adjusting certain loan-level data provided by the issuer in accordance with DBRS Morningstar’s applicable policies and procedures and providing some examples where that occurs.
-- Adding a definition of the Net Cash Flow (NCF) Haircut. The DBRS Morningstar NCF figure is an input to the NA CMBS Insight Model, expressed as a haircut (or % change) to the issuer’s NCF. The Methodology has been clarified to expressly refer to the DBRS Morningstar NCF Haircut.
-- Clarifying the section in the Methodology entitled Pooling and Portfolio Level Losses to reflect that (1) the model output providing the stressed pool losses for each credit rating level is also expressed as a multiple of the base-case pool loss, and (2) stressed pool losses (i.e., NA CMBS Insight Model results at each rating level) are referenced to determine when a material deviation may arise from the NA CMBS Insight Model results.

In connection with this update to the Methodology, certain transactions have disclosure updates regarding material deviations, which are described in the most recent related press releases for each such transaction. There are no changes to any ratings for these transactions.

Please see the following press releases for the respective updated disclosures:
-- https://www.dbrsmorningstar.com/research/363085/dbrs-morningstar-finalizes-provisional-ratings-on-bbcms-mortgage-trust-2020-c7
-- https://www.dbrsmorningstar.com/research/352928/dbrs-morningstar-finalizes-provisional-ratings-on-ready-capital-mortgage-trust-2019-6
-- https://www.dbrsmorningstar.com/research/363149/dbrs-morningstar-finalizes-provisional-ratings-on-mf1-2020-fl3-ltd
-- https://www.dbrsmorningstar.com/research/352854/dbrs-morningstar-finalizes-provisional-ratings-on-bank-2019-bnk22

Notes:
For more information regarding rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/357883.

For more information regarding structured finance rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/358308.

For more information regarding the structured finance rating approach and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/359905.

DBRS Morningstar methodologies are publicly available on its website www.dbrsmorningstar.com under Methodologies & Criteria.

For more information on this Methodology or on this industry, visit www.dbrsmorningstar.com or contact us at [email protected]